THE IMPACT OF THE GREAT LENT AND OF THE NATIVITY FAST ON THE BUCHAREST STOCK EXCHANGE

Razvan Stefanescu
"Dunarea de Jos" University of Galati

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This paper explores the behavior of the Romanian capital market during the two period of fasting: the Great Lent and of the Nativity Fast. In this investigation we employ closing values of five indexes from Bucharest Stock Exchange for the period January 2007 - August 2016. The sample of data is divided into two sub-samples: the first sub-sample, from January 2007 to June 2012 is associated to a turbulent period on the financial markets, while the second sub-sample, from July 2012 to June 2016, corresponds to a rather quiet period of Romanian capital market. For the first sub-sample we found, only for one index, an increase of the mean returns during the Great Lent and a decline of volatility during the Nativity Fast. For the second sub-sample, the results indicate, for four indexes, the decrease of the mean returns duringthe Great Lent. We conclude that such evolutions could be associated to the practices of fasting but also to the impact of other factors such as the holiday spirit, the seasonal affective disorder or the year-end stock market behavior.

Al-Hajieh, H., Redhead, K. and Rodgers, T., 2011. Investor sentiment and calendar anomaly effects: A case study of the impact of Ramadan on Islamic Middle Eastern markets. Research in International Business and Finance, 25(3), pp. 345-356.